Stock and bond market liquidity: A long-run empirical analysis

Journal of Financial and Quantitative Analysis

Volumn 44, Issue 1, 2009, Pages 189-212

  Goyenko, Ruslan Y ^a   Ukhov, Andrey D ^b  

^a MCGILL UNIVERSITY   (Canada)

^b NORTHWESTERN UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 67649661892     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0022109009090097     Document Type: Article

References (46)

1. Agnew, J., and P. Balduzzi. "Rebalancing Activity in 401(k) Plans." Working Paper, Boston College (2005).
2. Amihud, Y. "Illiquidity and Stock Returns: Cross-Section and Time-Series Effects." Journal of Finan- cial Markets, 5 (2002), 31-56.
3. Amihud, Y., and H. Mendelson. "Asset Pricing and the Bid-Ask Spread." Journal of Financial Economics, 17 (1986), 223-249.
4. Amihud, Y., and H. Mendelson. 'The Effect of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns." Journal of Finance, 44 (1989), 479-486.
5. Amihud, Y, and H. Mendelson. "Liquidity, Maturity, and the Yields on U.S. Treasury Securities." Journal of Finance, 46 (1991), 1411-1425.
6. Balduzzi, P.; E. Elton; and T. Green. "Economic News and Bond Prices: Evidence from U.S. Treasury Market." Journal of Financial and Quantitative Analysis, 36 (2001), 523-543.
7. Beber, A.; M. Brandt; and K. Kavajecz. "Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market." Review of Financial Studies, 22 (2009), 925-957.
8. Benston, G., and R. Hagerman. "Determinants of Bid-Ask Spreads in the Over-the-Counter Market." Journal of Financial Economics, 1 (1974), 353-364.
9. Bernanke, B., and A. Blinder. "The Federal Funds Rate and the Channels of Monetary Transmission." American Economic Review, 82 (1992), 901-921.
10. Boudoukh, J., and R. Whitelaw. "Liquidity as a Choice Variable: A Lesson from Japanese Government Bond Market." Review of Financial Studies, 6 (1993), 265-292.
11. Brandt, M. W., and K. A. Kavajecz. "Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve." Journal of Finance, 59 (2004), 2623-2654.
12. Brennan, M., and A. Subrahmanyam. "Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns." Journal of Financial Economics, 41 (1996), 441-464.
13. Chordia, T.; A. Sarkar; and A. Subrahmanyam. "An Empirical Analysis of Stock and Bond Market Liquidity." Review of Financial Studies, 18 (2005), 85-129.
14. Chordia, T.; R. Roll; and A. Subrahmanyam. "Commonality in Liquidity." Journal of Financial Economics, 56 (2000), 3-28.
15. Chordia, T.; R. Roll; and A. Subrahmanyam. "Market Liquidity and Trading Activity." Journal of Finance, 56 (2001), 501-530.
16. Eisfeldt, A. "Endogenous Liquidity in Asset Markets." Journal of Finance, 59 (2004), 1-30.
17. Fleming, J.; C. Kirby; and B. Ostdiek. "Information and Volatility Linkages in the Stock, Bond, and Money Markets." Journal of Financial Economics, 49 (1998), 111-137.
18. Fleming, M. "Measuring Treasury Market Liquidity." Economic Policy Review, 9 (2003), 83-108.
19. Fleming, M., and E. Remolona. "What Moves the Bond Market?" Economic Policy Review, 3 (1997), 31-50.
20. Fleming, M., and E. Remolona. "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information." Journal of Finance, 54 (1999), 1901-1915.
21. Fox, S. "Assessing TAA Manager Performance." Journal of Portfolio Management, 26 (1999), 40-49.
22. Goetzmann, W., and M. Massa. "Daily Momentum and Contrarian Behavior of Index Fund Investors." Journal of Financial and Quantitative Analysis, 37 (2002), 375-389.
23. Goldreich, D.; B. Hanke; and P. Nath. "The Price of Future Liquidity: Time-Varying Liquidity in the U.S. Treasury Market." Review of Finance, 9 (2005), 1-32.
24. Green, C. T. "Economic News and the Impact of Trading on Bond Prices." Journal of Finance, 59 (2004), 1201-1234.
25. Hasbrouck, J. "Trading Costs and Returns for U.S. Equities: The Evidence from Daily Data." Working Paper, New York University (2006).
26. Hasbrouck, J., and D. Seppi. "Common Factors in Prices, Order Flows, and Liquidity." Journal of Financial Economics, 59 (2001), 383-411.
27. Harvey, C, and R. Huang. "The Impact of Federal Reserve Bank's Open Market Operations." Journal of Financial Markets, 5 (2002), 223-257.
28. Ho, T., and H. Stoll. "The Dynamics of Dealer Markets under Competition." Journal of Finance, 38 (1983), 1053-1074.
29. Huang, R.; J. Cai; and X. Wang. "Information-Based Trading in the Treasury Note Interdealer Broker Market." Journal of Financial Intermediation, 11 (2002), 269-296.
30. Huberman, G., and D. Halka. "Systematic Liquidity." Journal of Financial Research, 2 (2001), 161-178.
31. Ingersoll, J. E., Jr. Theory of Financial Decision Making. Savage, MD: Rowman and Littlefield (1987).
32. Jones, C. "A Century of Stock Market Liquidity and Trading Costs." Working Paper, Columbia University (2002).
33. Kamara, A. "Liquidity, Taxes, and Short-Term Treasury Yields." Journal of Financial and Quantitative Analysis, 29 (1994), 403-417.
34. Krishnamurthy, A. "The Bond/Old-Bond Spread." Journal of Financial Economics, 66 (2002), 463-506.
35. Longstaff, F. A. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices." Journal of Business, 77(2004), 511-526.
36. McQueen, G., and V. Roley. "Stock Prices, News, and Business Conditions." Review of Financial Studies, 6 (1993), 683-707.
37. O'Hara, M., and G. Oldfield. "The Microeconomics of Market Making." Journal of Financial and Quantitative Analysis, 21 (1986), 361-376.
38. Pastor, L., and R. Stambaugh. "Liquidity Risk and Expected Stock Returns." Journal of Political Economy, 113 (2003), 642-685.
39. Patelis, A. "Stock Return Predictability and the Role of Monetary Policy." Journal of Finance, 52 (1997), 1951-1972.
40. Shiller, R. J. Market Volatility. Cambridge, MA: MIT Press (1989).
41. Shiller, R. J., and P. Perron. "Testing the Random Walk Hypothesis: Power vs. Frequency of Observation." Economics Letters, 18 (1985), 381-386.
42. Strongin, S. "The Identification of Monetary Policy Disturbances: Explaining the Liquidity Puzzle." Journal of Monetary Economics, 35 (1995), 463-497.
43. Swensen, D. Pioneering Portfolio Management: An Unconventional Approach to Institutional Investment. New York, NY: Free Press (2000).
44. Thorbecke, W. "On the Stock Market Returns and Monetary Policy." Journal of Finance, 52 (1997), 635-654.
45. Warga, A. "Bond Return, Liquidity, and Missing Data." Journal of Financial and Quantitative Analysis, 27 (1992), 605-617.
46. Xiao, Z., and P. Phillips. "Efficient Detrending in Cointegrating Regression." Econometric Theory, 15 (1999), 519-548.